Arithmetic Brownian motion and real options
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References listed on IDEAS
- De Reyck, Bert & Degraeve, Zeger & Vandenborre, Roger, 2008. "Project options valuation with net present value and decision tree analysis," European Journal of Operational Research, Elsevier, vol. 184(1), pages 341-355, January.
- Capozza, Dennis & Li, Yuming, 1994. "The Intensity and Timing of Investment: The Case of Land," American Economic Review, American Economic Association, vol. 84(4), pages 889-904, September.
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- Giacometti, Rosella & Teocchi, Mariangela, 2005. "On pricing of credit spread options," European Journal of Operational Research, Elsevier, vol. 163(1), pages 52-64, May.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Pedro Godinho, 2015. "Estimating State-Dependent Volatility of Investment Projects: A Simulation Approach," GEMF Working Papers 2015-02, GEMF, Faculty of Economics, University of Coimbra.
- Glensk, Barbara & Madlener, Reinhard, 2017.
"Evaluating the Enhanced Flexibility of Lignite-Fired Power Plants: A Real Options Analysis,"
FCN Working Papers
107/2016, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
- Glensk, Barbara & Madlener, Reinhard, 2017. "Evaluating the Enhanced Flexibility of Lignite-Fired Power Plants: A Real Options Analysis," FCN Working Papers 10/2016, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
- Sesana, Debora & Marazzina, Daniele & Fusai, Gianluca, 2014. "Pricing exotic derivatives exploiting structure," European Journal of Operational Research, Elsevier, vol. 236(1), pages 369-381.
More about this item
KeywordsInvestment analysis; Real options; Risk-neutral valuation; Arithmetic Brownian motion;
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